no code implementations • 26 Jan 2024 • Wenyuan Wang, Kaixin Yan, Xiang Yu
With the help of the duality results in the auxiliary problems and some fixed point arguments, we further derive and verify the optimal portfolio processes in a periodic manner for the original periodic evaluation problems over an infinite horizon.
no code implementations • 21 Nov 2023 • Wenyuan Wang, Kaixin Yan, Xiang Yu
With the help of the results from the auxiliary problem, the value function and the optimal constrained portfolio for the original problem with periodic evaluation can be derived and verified, allowing us to discuss some financial implications under the new performance paradigm.